中国银行间债券市场国债回购利率随机行为的实证研究  

Some Evidence of the Stochastic Behavior of Interbank Bond Redemption Interest Rates

作　　者：吕兆友[1] 

机构地区：[1]南开大学国际商学院,天津300071

出　　处：《管理科学》2004年第6期62-66,共5页Journal of Management Science

基　　金：国家社会科学基金资助项目(02BJY127);教育部优秀青年教师奖励计划资助项目

摘　　要：遵循CKLS的思路,采用广义距方法,选用我国国债月度回购利率数据估计和比较了不同的短期无风险利率的连续时间模型,结果显示,根据所研究的数据样本,允许利率的波动性依赖于利率水平的模型可以更好地描述短期利率的动态变化,对于不同利率模型的研究对利率风险的套期保值也具有重要的启示。This paper, following CKLS′s thoughts, uses data of bond redemption interest rate to estimate and compare a variety of continuous models of the short-term riskless rate using the Generalized Method of Moments. We find that successful models in capturing the dynamic short-term interest rates are those that allow the volatility of interest rate changes to be sensitive to the level of the riskless rate. In the mean time, the study of various term structure models has implications in hedging interest rate risk.

关 键 词：条件波动性 利率期限结构模型 回购利率 

分 类 号：F832[经济管理—金融学]